General theorems for numerical approximation of stochastic processes on the Hilbert space \(H_2([0,T], \mu,\mathbb{R}^d)\)

zbMath1030.65003MaRDI QIDQ1407721

Henri Schurz

Publication date: 25 February 2004

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/123212

zbMATH Keywords

systemsHilbert spacestochastic processesordinary stochastic differential equationsbalanced implicit methodsdrift-implicit Euler methodsstochastic Lax-theoremstochastic-numerical approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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